I had a couple of questions about the ar function that i was hoping
someone could answer.
I have the structure below
testSeries<-structure(c(-3.88613620955214e-05, 0, -7.77272551011343e-05,
0, -0.000194344573539562, -0.000116624876218163, -3.88779814601281e-05,
0, 3.88779814601281e-05, -0.000155520995647807, -0.000116656621367561,
-3.88885648225368e-05, -3.88900772017586e-05, 7.77786420242954e-05,
0, 7.77725929772544e-05, 0, 0, -3.88855404165889e-05,
-0.000155557284283514,
0.000116670231722849, 7.77725929772544e-05, 0, 0, 3.88840283903069e-05,
-0.000116656621367561, -7.77786420242954e-05, 0.000233317779873343,
-0.000155539137849048, 0, 0, -3.88885648225368e-05, 0, 0,
0.000116661157799791,
3.88840283903069e-05, 0, -3.88840283903069e-05, 7.77665448717935e-05,
7.77604977061919e-05, 0.000155502857678291, 0, 0, 7.77423618523176e-05,
-7.77423618523176e-05, 3.88719364105006e-05, 3.88704254418171e-05,
-3.88704254418171e-05, 3.88704254418171e-05, 0.0002331908288839,
-7.77242344552342e-05, 0, -7.7730275981791e-05, -7.77363184468749e-05,
-7.77423618523176e-05, 0, -0.000116624876218163, -3.88779814601281e-05,
-0.000233299635555240, 7.77725929772544e-05, 7.77665448717935e-05,
0.00011663847916632, 7.7751428721684e-05, 0, 3.88734474964791e-05,
3.88719364105006e-05, 7.77393400321347e-05, 3.88674038565573e-05,
-3.88674038565573e-05, 0, 7.77332970969269e-05, -3.88658932403696e-05,
-3.88674038565573e-05, 0, 0, 3.88674038565573e-05, 7.7730275981791e-05,
-7.7730275981791e-05, 0, 7.7730275981791e-05, 0, 0,
0.000233154582543582,
0.000194253968248181, 3.88462659076660e-05, 7.76880050110673e-05,
-7.76880050110673e-05, 0, 7.76880050110673e-05, -3.88432480773471e-05,
0, 3.88432480773471e-05, 0, 0, 0, -3.88432480773471e-05,
-0.000194238875579067,
0, -3.88523029751786e-05, -3.88538125353222e-05, -0.000116570496139390,
-3.8859851948958e-05, 0, 0, 0.000155430348088348, 0,
3.88538125353222e-05,
0, 3.88523029751786e-05, 0, 3.88507935322746e-05, 3.88492842067212e-05,
0, 0, -7.77000777389958e-05, 0, 0, -3.88523029751786e-05,
-3.88538125353222e-05,
0, 0.000155406193249497, 0, -0.000155406193249497,
-0.000116570496139390,
-3.8859851948958e-05, -7.77242344552342e-05, -3.88643827414215e-05,
3.88643827414215e-05, 3.88628723597129e-05, -7.77272551011343e-05,
-3.88658932403696e-05, 0.000116593148341504, 0, 7.77212140444794e-05,
0, 0, 0, 3.88583419195232e-05, 7.77121542198667e-05, 0, 0,
7.77061155105008e-05,
0, 7.77000777389958e-05, 0, 0, -7.77000777389958e-05,
7.77000777389958e-05,
0, -7.77000777389958e-05, 3.88507935322746e-05, 3.88492842067212e-05,
-7.77000777389958e-05, 7.77000777389958e-05, -7.77000777389958e-05,
7.77000777389958e-05, -3.88492842067212e-05, 3.88492842067212e-05,
0, 0, 0, 3.88477749986849e-05, -3.88477749986849e-05, 0, 0,
-3.88492842067212e-05,
0, -3.88507935322746e-05, 0, 0, -0.000155418269730367, 0,
3.88568320072724e-05,
-3.88568320072724e-05, 0, 0, 0, 0, 0, -7.77181938684812e-05,
-7.77242344552342e-05, 7.77242344552342e-05, 0, 7.77181938684812e-05,
0, -7.77181938684812e-05, 3.8859851948958e-05, 0, 0,
-3.8859851948958e-05,
0, 0, 0, -7.77242344552342e-05, -0.000233208956280984,
-0.000155502857678291,
0.000155502857678291, -3.88734474964791e-05, 0, 3.88734474964791e-05
), index = structure(c(1115056920, 1115056980, 1115057040, 1115057100,
1115057160, 1115057220, 1115057280, 1115057340, 1115057400, 1115057460,
1115057520, 1115057580, 1115057640, 1115057700, 1115057760, 1115057820,
1115057880, 1115057940, 1115058000, 1115058060, 1115058120, 1115058180,
1115058240, 1115058300, 1115058360, 1115058420, 1115058480, 1115058540,
1115058600, 1115058660, 1115058720, 1115058780, 1115058840, 1115058900,
1115058960, 1115059020, 1115059080, 1115059140, 1115059200, 1115059260,
1115059320, 1115059380, 1115059440, 1115059500, 1115059560, 1115059620,
1115059680, 1115059740, 1115059800, 1115059860, 1115059920, 1115059980,
1115060040, 1115060100, 1115060160, 1115060220, 1115060280, 1115060340,
1115060400, 1115060460, 1115060520, 1115060580, 1115060640, 1115060700,
1115060760, 1115060820, 1115060880, 1115060940, 1115061000, 1115061060,
1115061120, 1115061180, 1115061240, 1115061300, 1115061360, 1115061420,
1115061480, 1115061540, 1115061600, 1115061660, 1115061720, 1115061780,
1115061840, 1115061900, 1115061960, 1115062020, 1115062080, 1115062140,
1115062200, 1115062260, 1115062320, 1115062380, 1115062440, 1115062500,
1115062560, 1115062620, 1115062680, 1115062740, 1115062800, 1115062860,
1115062920, 1115062980, 1115063040, 1115063100, 1115063160, 1115063220,
1115063280, 1115063340, 1115063400, 1115063460, 1115063520, 1115063580,
1115063640, 1115063700, 1115063760, 1115063820, 1115063880, 1115063940,
1115064000, 1115064060, 1115064120, 1115064180, 1115064240, 1115064300,
1115064360, 1115064420, 1115064480, 1115064540, 1115064600, 1115064660,
1115064720, 1115064780, 1115064840, 1115064900, 1115064960, 1115065020,
1115065080, 1115065140, 1115065200, 1115065260, 1115065320, 1115065380,
1115065440, 1115065500, 1115065560, 1115065620, 1115065680, 1115065740,
1115065800, 1115065860, 1115065920, 1115065980, 1115066040, 1115066100,
1115066160, 1115066220, 1115066280, 1115066340, 1115066400, 1115066460,
1115066520, 1115066580, 1115066640, 1115066700, 1115066760, 1115066820,
1115066880, 1115066940, 1115067000, 1115067060, 1115067120, 1115067180,
1115067240, 1115067300, 1115067360, 1115067420, 1115067480, 1115067540,
1115067600, 1115067660, 1115067720, 1115067780, 1115067840, 1115067900,
1115067960, 1115068020, 1115068080, 1115068140, 1115068200, 1115068260,
1115068320, 1115068380, 1115068440, 1115068500, 1115068560, 1115068620,
1115068680, 1115068740, 1115068800, 1115068860), class = c("POSIXt",
"POSIXct")), class = "zoo")
I call the ar function with aic=TRUE as below so that it picks the order
of the ar model based on BIC. Yet it returns with no coefficients as the
best model.
I do the same call using many, series in a loop ( besides just the one
above ) and it returns zero coefficients quite a bit of the time.
1) can this be possible ? because i don't see how zero coefficients
could be better than one or some ?
ARest<-ar(testSeries,aic=TRUE,demean=FALSE,order.max=4,method="ols")
2) also, is there a way to calculate the t-stats for the coefficients
that come back ?
it would probably be easier for me to just call arima over and over in a
loop while decreasing the number of lags each time by 1 but
i am not clever enough in R to do this ? i imagine it requires some form
of the use of embed but i looked at the code for ar and it
was pretty beyond me. if anyone happens to have code for doing this type
of thing, that would be great also. thank you very much.
--------------------------------------------------------
This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}
Try:> ar(testSeries, demean = FALSE, method = "burg", var.method = 2)Call: ar(x = testSeries, method = "burg", demean = FALSE, var.method = 2) Coefficients: 1 2 3 4 5 6 0.0888 0.0063 0.0654 -0.0169 0.0215 0.0950 Order selected 6 sigma^2 estimated as 5.194e-09 On 2/5/07, Leeds, Mark (IED) <Mark.Leeds at morganstanley.com> wrote:> I had a couple of questions about the ar function that i was hoping > someone could answer. > > I have the structure below > > testSeries<-structure(c(-3.88613620955214e-05, 0, -7.77272551011343e-05, > > 0, -0.000194344573539562, -0.000116624876218163, -3.88779814601281e-05, > 0, 3.88779814601281e-05, -0.000155520995647807, -0.000116656621367561, > -3.88885648225368e-05, -3.88900772017586e-05, 7.77786420242954e-05, > 0, 7.77725929772544e-05, 0, 0, -3.88855404165889e-05, > -0.000155557284283514, > 0.000116670231722849, 7.77725929772544e-05, 0, 0, 3.88840283903069e-05, > -0.000116656621367561, -7.77786420242954e-05, 0.000233317779873343, > -0.000155539137849048, 0, 0, -3.88885648225368e-05, 0, 0, > 0.000116661157799791, > 3.88840283903069e-05, 0, -3.88840283903069e-05, 7.77665448717935e-05, > 7.77604977061919e-05, 0.000155502857678291, 0, 0, 7.77423618523176e-05, > -7.77423618523176e-05, 3.88719364105006e-05, 3.88704254418171e-05, > -3.88704254418171e-05, 3.88704254418171e-05, 0.0002331908288839, > -7.77242344552342e-05, 0, -7.7730275981791e-05, -7.77363184468749e-05, > -7.77423618523176e-05, 0, -0.000116624876218163, -3.88779814601281e-05, > -0.000233299635555240, 7.77725929772544e-05, 7.77665448717935e-05, > 0.00011663847916632, 7.7751428721684e-05, 0, 3.88734474964791e-05, > 3.88719364105006e-05, 7.77393400321347e-05, 3.88674038565573e-05, > -3.88674038565573e-05, 0, 7.77332970969269e-05, -3.88658932403696e-05, > -3.88674038565573e-05, 0, 0, 3.88674038565573e-05, 7.7730275981791e-05, > -7.7730275981791e-05, 0, 7.7730275981791e-05, 0, 0, > 0.000233154582543582, > 0.000194253968248181, 3.88462659076660e-05, 7.76880050110673e-05, > -7.76880050110673e-05, 0, 7.76880050110673e-05, -3.88432480773471e-05, > 0, 3.88432480773471e-05, 0, 0, 0, -3.88432480773471e-05, > -0.000194238875579067, > 0, -3.88523029751786e-05, -3.88538125353222e-05, -0.000116570496139390, > -3.8859851948958e-05, 0, 0, 0.000155430348088348, 0, > 3.88538125353222e-05, > 0, 3.88523029751786e-05, 0, 3.88507935322746e-05, 3.88492842067212e-05, > 0, 0, -7.77000777389958e-05, 0, 0, -3.88523029751786e-05, > -3.88538125353222e-05, > 0, 0.000155406193249497, 0, -0.000155406193249497, > -0.000116570496139390, > -3.8859851948958e-05, -7.77242344552342e-05, -3.88643827414215e-05, > 3.88643827414215e-05, 3.88628723597129e-05, -7.77272551011343e-05, > -3.88658932403696e-05, 0.000116593148341504, 0, 7.77212140444794e-05, > 0, 0, 0, 3.88583419195232e-05, 7.77121542198667e-05, 0, 0, > 7.77061155105008e-05, > 0, 7.77000777389958e-05, 0, 0, -7.77000777389958e-05, > 7.77000777389958e-05, > 0, -7.77000777389958e-05, 3.88507935322746e-05, 3.88492842067212e-05, > -7.77000777389958e-05, 7.77000777389958e-05, -7.77000777389958e-05, > 7.77000777389958e-05, -3.88492842067212e-05, 3.88492842067212e-05, > 0, 0, 0, 3.88477749986849e-05, -3.88477749986849e-05, 0, 0, > -3.88492842067212e-05, > 0, -3.88507935322746e-05, 0, 0, -0.000155418269730367, 0, > 3.88568320072724e-05, > -3.88568320072724e-05, 0, 0, 0, 0, 0, -7.77181938684812e-05, > -7.77242344552342e-05, 7.77242344552342e-05, 0, 7.77181938684812e-05, > 0, -7.77181938684812e-05, 3.8859851948958e-05, 0, 0, > -3.8859851948958e-05, > 0, 0, 0, -7.77242344552342e-05, -0.000233208956280984, > -0.000155502857678291, > 0.000155502857678291, -3.88734474964791e-05, 0, 3.88734474964791e-05 > ), index = structure(c(1115056920, 1115056980, 1115057040, 1115057100, > 1115057160, 1115057220, 1115057280, 1115057340, 1115057400, 1115057460, > 1115057520, 1115057580, 1115057640, 1115057700, 1115057760, 1115057820, > 1115057880, 1115057940, 1115058000, 1115058060, 1115058120, 1115058180, > 1115058240, 1115058300, 1115058360, 1115058420, 1115058480, 1115058540, > 1115058600, 1115058660, 1115058720, 1115058780, 1115058840, 1115058900, > 1115058960, 1115059020, 1115059080, 1115059140, 1115059200, 1115059260, > 1115059320, 1115059380, 1115059440, 1115059500, 1115059560, 1115059620, > 1115059680, 1115059740, 1115059800, 1115059860, 1115059920, 1115059980, > 1115060040, 1115060100, 1115060160, 1115060220, 1115060280, 1115060340, > 1115060400, 1115060460, 1115060520, 1115060580, 1115060640, 1115060700, > 1115060760, 1115060820, 1115060880, 1115060940, 1115061000, 1115061060, > 1115061120, 1115061180, 1115061240, 1115061300, 1115061360, 1115061420, > 1115061480, 1115061540, 1115061600, 1115061660, 1115061720, 1115061780, > 1115061840, 1115061900, 1115061960, 1115062020, 1115062080, 1115062140, > 1115062200, 1115062260, 1115062320, 1115062380, 1115062440, 1115062500, > 1115062560, 1115062620, 1115062680, 1115062740, 1115062800, 1115062860, > 1115062920, 1115062980, 1115063040, 1115063100, 1115063160, 1115063220, > 1115063280, 1115063340, 1115063400, 1115063460, 1115063520, 1115063580, > 1115063640, 1115063700, 1115063760, 1115063820, 1115063880, 1115063940, > 1115064000, 1115064060, 1115064120, 1115064180, 1115064240, 1115064300, > 1115064360, 1115064420, 1115064480, 1115064540, 1115064600, 1115064660, > 1115064720, 1115064780, 1115064840, 1115064900, 1115064960, 1115065020, > 1115065080, 1115065140, 1115065200, 1115065260, 1115065320, 1115065380, > 1115065440, 1115065500, 1115065560, 1115065620, 1115065680, 1115065740, > 1115065800, 1115065860, 1115065920, 1115065980, 1115066040, 1115066100, > 1115066160, 1115066220, 1115066280, 1115066340, 1115066400, 1115066460, > 1115066520, 1115066580, 1115066640, 1115066700, 1115066760, 1115066820, > 1115066880, 1115066940, 1115067000, 1115067060, 1115067120, 1115067180, > 1115067240, 1115067300, 1115067360, 1115067420, 1115067480, 1115067540, > 1115067600, 1115067660, 1115067720, 1115067780, 1115067840, 1115067900, > 1115067960, 1115068020, 1115068080, 1115068140, 1115068200, 1115068260, > 1115068320, 1115068380, 1115068440, 1115068500, 1115068560, 1115068620, > 1115068680, 1115068740, 1115068800, 1115068860), class = c("POSIXt", > "POSIXct")), class = "zoo") > > I call the ar function with aic=TRUE as below so that it picks the order > of the ar model based on BIC. Yet it returns with no coefficients as the > best model. > I do the same call using many, series in a loop ( besides just the one > above ) and it returns zero coefficients quite a bit of the time. > > 1) can this be possible ? because i don't see how zero coefficients > could be better than one or some ? > > ARest<-ar(testSeries,aic=TRUE,demean=FALSE,order.max=4,method="ols") > > 2) also, is there a way to calculate the t-stats for the coefficients > that come back ? > > it would probably be easier for me to just call arima over and over in a > loop while decreasing the number of lags each time by 1 but > i am not clever enough in R to do this ? i imagine it requires some form > of the use of embed but i looked at the code for ar and it > was pretty beyond me. if anyone happens to have code for doing this type > of thing, that would be great also. thank you very much. > -------------------------------------------------------- > > This is not an offer (or solicitation of an offer) to buy/se...{{dropped}} > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >
On Mon, 5 Feb 2007, Leeds, Mark (IED) wrote:> I had a couple of questions about the ar function that i was hoping > someone could answer. >[...]> I call the ar function with aic=TRUE as below so that it picks the order > of the ar model based on BIC.It actually does as it says it does (BIC != AIC).> Yet it returns with no coefficients as the best model.You mean order 0?> I do the same call using many, series in a loop ( besides just the one > above ) and it returns zero coefficients quite a bit of the time. > > 1) can this be possible ? because i don't see how zero coefficients > could be better than one or some ?Then you don't understand AIC (or BIC), so please study the concepts. It is not only possible, it happens (including for you).> 2) also, is there a way to calculate the t-stats for the coefficients > that come back ?What are the 't-stats'? The estimated standard errors are not calculated in ar(), if you mean (estimated coefficient)/(estimated se). There is of course *a* way to calculate them! From the Value section on the help page: asy.var.coef: (univariate case, 'order > 0'.) The asymptotic-theory variance matrix of the coefficient estimates. The question is, what could you validly do with the 't-stats'?> it would probably be easier for me to just call arima over and over in a > loop while decreasing the number of lags each time by 1 but > i am not clever enough in R to do this ? i imagine it requires some form > of the use of embed but i looked at the code for ar and it > was pretty beyond me. if anyone happens to have code for doing this type > of thing, that would be great also. thank you very much.Hmm, R itself does have examples. See e.g. ?WWWusage. -- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595